For example: - Sai dov'è il mio libro? 

You can either say: "Non ne ho idea" or "Non ho idea di dove sia il libro"

You can see that in the second sentence you repeat the noun "libro", while in the first one it is replaced by "ne".

Grazie mille!

Thank you so much ! 

In this case "ne" replaces a noun or a sentence introduced by "di". It is used to avoid repetitions. Whereas if you say  "Non ho idea", it can't stand alone, you have to specify the object.